This code was used to implement the estimator in the papers
Linear Regression for Panel with Unknown Number of Factors as Interactive Fixed Effects
and
Dynamic Linear Panel Regression Models with Interactive Fixed Effects.
For example, the results reported in table 1 of the former paper can be obtained by copying
the above estimation routine together with
mc_static.m,
create_statistics.m,
and
run_all.m
into one directory and executing the last file in matlab.